Obviously you have reading comprehension issues, my post was self explanatory. Do some research on ETFs such as SDY and DVY regarding their price action on August 24th, instead of posting your mindless drivel.
What a cop out ....... you can't give a real-life example of how a Limit Order would be superior to a Market Order - in any market conditions. You mentioned "AAPL on the day ES opened limit down", but quickly abandoned that idea for some external link to a Business Insider article and "SPY options" and now you're onto "ETFs such as SDY and DVY". Holy SHITBALLS ..... Your mind wonders all over the place. I will reiterate my position to get back on topic. From post #5. "Market orders are perfectly fine, and you will not get a "lousy fill". And during volatile times Market Orders should be used exclusively, the OP will figure that out after a few trades."
I don't even really trade indexes that often and I don't like large spreads. As a newer trader I probably would've avoided the market that day anyways because I don't really like volatility and have heard horror stories of no bid. I typically trade stocks within the 1-30 range, and I don't hold overnight. I just don't want a disadvantage to somebody entering a 100 share market order at the same time. Besides, limit orders usually get filled at the ask anyways right?
If you're talking about US equities, then I'd say that you should always put a limit in, even if it's a "marketable limit" order. E.g., if you want to buy a stock that's currently trading at $10, put in a limit at slightly above that price, say $10.20; it's much better than possibly having liquidity dry up and potentially paying some absurd price per share, which could go to as much as $199,999 per share. In such a case, you could probably get the trade busted, but why take the risk and go through that hassle? All you need to do to avoid it is to type a single number -- the limit price -- into your screen.
Again, you FAILED to read and comprehend my post. So let's go back to trade school 101. From Schwab's site (emphasis in bold): Order types A market order is an order to buy or sell a stock at the best possible price available at the time the order is received in the marketplace. A market order for a New York Stock Exchange (NYSE) or NASDAQ equity will generally be filled at or close to the National Best Bid and Offer (NBBO). The NBBO is a term that refers to the US Securities and Exchange Commission (SEC) requirement that brokers attempt to provide customers the best available bid price when their customers sell securities and the best available ask price when they buy securities. The NBBO is dynamically updated throughout the trading day to show a security's highest bid and lowest offer (ask) among all exchanges, execution venues and market makers registered to trade that security. It is important to remember that factors such as the size of your order, significant news reports and rapidly changing market prices can result in execution at a different price than the NBBO. Additionally, if the size of your order exceeds the number of shares available at the time your order is entered, your order may be split into child orders and executed at several different prices. For NASDAQ securities, Schwab utilizes intelligent order routing technology. Market orders are normally placed with a "day only" time in force, which means they will trade only on the business day and in the trading session in which they're placed. Market orders placed after 4:30 p.m. ET will be entered for the next trading day at 9:30 a.m. ET. Because market orders are typically filled very quickly, once they are entered, they generally cannot be canceled. It is important to remember—particularly with large orders or in fast market conditions—that you are never guaranteed the NBBO you're quoted at the time your order is entered." Now, go do your homework and read about NYSE Rule 48. Those who had market orders on AAPL, DVY and SDY got SMOKED out of their positions at the open (i.e. those who sold "at market") since the orders were executed at prices that were NOT at NBBO. Therefore, a clear cut example was someone who had an order to sell at market SDY at the open, and got filled WAY below the prior day close, even though SDY snapped back immediately after filling all of the market orders. However, you are free to use whatever order type that fits your trading style, regardless of volatile market conditions. If you want to exit a stock regardless of price, then sure, use a market order, as long as you are ok with slippage.
http://ibkb.interactivebrokers.com/node/1654 Handling of market orders Clients are encouraged to consider the use of limit orders in lieu of market orders as market orders are susceptible to being filled at prices far lower/higher than the current displayed bid/ask particularly under volatile market conditions. . .
See 1:38 PM EST today in the ES. People with market orders to buy at 1962.75 were filled at prices up to 1965. A limit order to buy at 1962.75 would have been filled one minute later at 1:39 PM EST. The market order cost some people $112.50 per one lot. There is your one concrete example.
Assuming your numbers are correct a Market Order wouldn't be the issue, the ES pull-back was. Getting a Limit Order filled because of a pull-back isn't a desirable outcome.
OTM-Options, Nobody will agree with you. It would be foolish to do so. Using market orders exposes you to the risk of an NBBO trade-through, or a Clearly Erroneous Execution due to a sudden liquidity vacuum as per Occam's example. It is highly unlikely that you will receive a trade-through execution with a limit order, unless you do so purposely by using an ISO. The fact that nobody on this forum has been unlucky enough to suffer this disaster recently enough to provide you with an actual example pulled from Time & Sales means nothing. The internet is filled with verifiable examples of horrific fills resulting from the the poor use of market orders. If you insist on using market orders in volatile markets, at least exercise your ability to apply a cap or floor to the execution price at a defined percentage away from the NBBO. In fact, many brokers will apply this filter to your market order automatically, without your consent, in order to protect your capital and to reduce the risk that you will leave your broker stuck with a deficit that they have to cover.